Mark. S Joshi, Jane. M Paterson

Introduction to Mathematical Portfolio Theory

• Gebundenes Buch

Produktbeschreibung

This concise yet comprehensive guide focuses on the mathematics of portfolio theory without losing sight of the finance.

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Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 328
• Erscheinungstermin: 8. Februar 2018
• Englisch
• Abmessung: 235mm x 157mm x 22mm
• Gewicht: 629g
• ISBN-13: 9781107042315
• ISBN-10: 1107042313
• Artikelnr.: 38612909

Autorenporträt

Mark S. Joshi is a researcher and consultant in mathematical finance, and a Professor at the University of Melbourne. His research focuses on derivatives pricing and interest rate derivatives in particular. He is the author of numerous research articles on quantitative finance and four books.

Inhaltsangabe

Preface
1. Definitions of risk and return
2. Efficient portfolios: the two-asset case
3. Portfolios with a risk-free asset
4. Finding the efficient frontier - the multi-asset case
5. Single-factor models
6. Multi-factor models
7. Introducing utility
8. Utility and risk aversion
9. Foundations of utility theory
10. Maximising long-term growth
11. Stochastic dominance
12. Risk measures
13. The Capital Asset Pricing Model
14. The arbitrage pricing model
15. Market efficiency and rationality
16. Brownian motion and stock price models across time
Appendix A. Matrix algebra
Appendix B. Solutions
References
Index.